Operational risk measurement

Author

Rahim, N.A. ; Tafri, F.H.

Author_Institution

Dept. of Actuarial Sci., Univ. Teknol. MARA, Shah Alam, Malaysia

fYear

2012

fDate

10-12 Sept. 2012

Firstpage

1

Lastpage

4

Abstract

The main objective of this study is to measure the risk level for operational risk of life insurers operated in Malaysia for the period of 2003 to 2010. The operational problem is the major factor contributed to the company´s losses. Due to the operational problems of insurance companies and banks, there is a growing pressure from the regulatory bodies to measure operational risk of these institutions. Volatility is used to measure the level of operational risk and it is used as risk charge to calculate the operational risk capital charge of life insurers. This study found that the volatility of relative revenue is significantly related to operational risk and the risk charge is higher during the crisis period compared to the normal period. Thus, this new risk charge is a better in representing level of operational risk for life insurers in Malaysia.

Keywords

banking; insurance; risk management; Malaysia; banks; company losses; insurance companies; operational problems; operational risk capital charge calculation; operational risk measurement; relative revenue volatility; Banking; Companies; Insurance; Loss measurement; Regression analysis; Standards; insurers; operational risk; relative revenue; risk charge; volatility;

fLanguage

English

Publisher

ieee

Conference_Titel

Statistics in Science, Business, and Engineering (ICSSBE), 2012 International Conference on

Conference_Location

Langkawi

Print_ISBN

978-1-4673-1581-4

Type

conf

DOI

10.1109/ICSSBE.2012.6396518

Filename

6396518